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st: Park-Phillips/Phillips-Hansen "bias-corrected" estimators


From   "Tan Elaine" <[email protected]>
To   <[email protected]>
Subject   st: Park-Phillips/Phillips-Hansen "bias-corrected" estimators
Date   Thu, 19 Apr 2007 14:23:53 +0100

Hello -

Can someone please help me obtain Park-Phillips/Phillips-Hansen
"bias-corrected" estimators from Stata?

I'm doing IV estimation with data that are I(1). According to theory,
OLS is consistent, but biased. Park & Phillips (1988) and later,
Phillips and Hansen (1990), have developed estimators that correct for
this bias.

What are the Stata commands for these estimators please?

Many thanks, Elaine Tan

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